A Markov-Chain Measure of Systemic Banking Crisis Frequency

Thumbnail
View / Open Files
Authors
Tambakis, D.
Publication Date
2020-09-03
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics, University of Cambridge
Type
Working Paper
Metadata
Show full item record
Citation
Tambakis, D. (2020). A Markov-Chain Measure of Systemic Banking Crisis Frequency. https://doi.org/10.17863/CAM.61843
Abstract
This study nests historical evidence for credit growth-fuelled financial instability in a 2-state non-homogeneous Markov chain with logistic crisis incidence. A long-run frequency measure is defined and calibrated for 17 advanced economies from 1870-2016.
Keywords
Credit cycle, Systemic banking crises, Markov chain
Identifiers
CWPE2082
This record's DOI: https://doi.org/10.17863/CAM.61843
This record's URL: https://www.repository.cam.ac.uk/handle/1810/314737
Rights
All Rights Reserved
Licence URL: https://www.rioxx.net/licenses/all-rights-reserved/
Statistics



Total file downloads (since January 2020). For more information on metrics see the IRUS guide.